Calcitriol and hydroxyderivatives of lumisterol and tachisterol are secosteroid hormones with immunomodulatory and anti-inflammatory properties. Since the beginning of the COVID-19 pandemic, several studies have correlated deficient serum concentrations of vitamin D 3 (calcifediol) with increased severity of the course of SARS-CoV-2 infection. Among systemic complications, subjective (anosmia, ageusia, depression, dizziness) and objective (ischemic stroke, meningoencephalitis, myelitis, seizures, Guillain-Barré syndrome) neurological symptoms have been reported in up to 80% of severe COVID-19 patients. In this narrative review, we will resume the pathophysiology of SARS-CoV-2 infection and the mechanisms of acute and chronic neurological damage. SARS-CoV-2 can disrupt the integrity of the endothelial cells of the blood-brain barrier (BBB) to enter the nervous central system. Invasion of pro-inflammatory cytokines and polarization of astrocytes and microglia cells always in a pro-inflammatory sense together with the pro-coagulative phenotype of cerebral endothelial cells in response to both SARS-CoV-2 and immune cells invasion (immunothrombosis) are the major drivers of neurodamage. Calcitriol and hydroxyderivatives of lumisterol and tachisterol could play an adjuvant role in neuroprotection through mitigation of neuroinflammation and protection of endothelial integrity of the BBB. Dedicated studies on this topic are currently lacking and are desirable to confirm the link between vitamin D 3 and neuroprotection in COVID-19 patients.